Right now, my only annoyance is that they didn't release the BG-E11 at the same time as the 5D3. All of my other SLR's have had the grip, and it just feels wrong without it.
I tried it, and you're right. Canon deliberately went out of their way to prevent the custom settings from retaining the HDR setting. It's okay for me, because the delay when it processes the HDR means I can't be in a hurry anyways. At least AEB can be stored in C1-C3.
I do wish that they would have moved the BULB mode past C1-C3. I use it sometimes, but not as often as I would C1, and the chance that I miss and leave it in BULB is too great. I'm still getting used to the locking mode wheel, but I can't count the number of times I've accidentally changed the mode on my 5D2, so it's a welcomed addition.